Correlation Between Bank Mandiri and Impac Mortgage

Can any of the company-specific risk be diversified away by investing in both Bank Mandiri and Impac Mortgage at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Bank Mandiri and Impac Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Bank Mandiri Persero and Impac Mortgage Holdings, you can compare the effects of market volatilities on Bank Mandiri and Impac Mortgage and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Bank Mandiri with a short position of Impac Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Mandiri and Impac Mortgage.

Diversification Opportunities for Bank Mandiri and Impac Mortgage

0.81

Correlation Coefficient

Bank Mandiri  Impac Mortgage

Very poor diversification

The 3 months correlation between Bank and Impac is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero and Impac Mortgage Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Impac Mortgage Holdings and Bank Mandiri is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Bank Mandiri Persero are associated (or correlated) with Impac Mortgage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Impac Mortgage Holdings has no effect on the direction of Bank Mandiri i.e., Bank Mandiri and Impac Mortgage go up and down completely randomly.

Pair Corralation between Bank Mandiri and Impac Mortgage

Assuming the 90 days horizon Bank Mandiri is expected to generate 6.26 times less return on investment than Impac Mortgage. But when comparing it to its historical volatility, Bank Mandiri Persero is 10.35 times less risky than Impac Mortgage. It trades about 0.03 of its potential returns per unit of risk. Impac Mortgage Holdings is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest  31.00  in Impac Mortgage Holdings on September 16, 2024 and sell it today you would lose (25.49) from holding Impac Mortgage Holdings or give up 82.23% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	22.43%
Values	Daily Returns

Bank Mandiri Persero  vs.  Impac Mortgage Holdings

Bank Mandiri Persero

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Bank Mandiri Persero has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of weak performance in the last few months, the Stock's basic indicators remain fairly strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the company investors.

Impac Mortgage Holdings

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Impac Mortgage Holdings has generated negative risk-adjusted returns adding no value to investors with long positions. Despite fairly strong primary indicators, Impac Mortgage is not utilizing all of its potentials. The current stock price confusion, may contribute to short-horizon losses for the traders.

Pair Trading with Bank Mandiri and Impac Mortgage

The main advantage of trading using opposite Bank Mandiri and Impac Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Mandiri position performs unexpectedly, Impac Mortgage can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Impac Mortgage will offset losses from the drop in Impac Mortgage's long position.

The idea behind Bank Mandiri Persero and Impac Mortgage Holdings pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.